Abstract

In this research article, our purpose is to propose a single-period multiobjective mixed-integer programming model for equity portfolio construction, in order to generate the Pareto optimal portfolios, using a variant of the well-known ε-constraint method. The decision maker's investment policy, i.e. constraints regarding the portfolio structure, is strongly taken into account. An illustrative application in the Athens Stock Exchange market is also presented.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call